The entire JUMP team was delighted to (virtually) welcome its software users for JUMP Club U’ on December 17, 2020. During this last session of 2020, we were able to present how the JUMP solution can accompany investment management players in the areas of equity performance attribution, fixed income attribution, and stress tests.
JUMP Equity Performance Attribution
As a part of its Front-to-Back platform, JUMP offers an Equity Performance Attribution module based on the Brinson-Fachler method. To aid managers in their decision-making, this module provides users a range of possibilities for precise measurement and analysis of portfolio and investment performance, including:
- Total access to calculation information for the analysis of different effects: allocation effect, selection effect, the interaction effect
- High flexibility in performance breakdown analysis: the ability to use any JUMP native field (geographic zone, industry, asset class, etc.) as well as any custom field (custom classification, custom attributes) as a breakdown factor
- Calculations carried out in full transparency for certain uses: calculation of attribution against index composition, an EFT, a transparent EFT composition, a transparent fund of funds portfolio, etc.
In 2019, JUMP invested several hundred man-days to enhance its Performance Attribution module, working in partnership with one of its key customers to expand the existing software, roll out new screens and features, and enhance calculation methods. JUMP has since integrated this rich and flexible performance attribution module in its Front-to-Back platform, allowing users to carry out detailed analyses of their investment performance.
JUMP Fixed Income Attribution
To precisely measure fixed income performance, JUMP now offers a Fixed Income Attribution module, based on the FBAM (Factor-Based Attribution Model) method. This calculation is based on the portfolio of the Fund Administrator and requires no information concerning instrument cashflow (coupons, redemptions). This module provides users a multitude of possibilities for precisely analyzing the performance of fixed income investments and portfolios, including:
- A detailed breakdown of performance at the asset level, based on risk indicators for fixed income instruments (yield to maturity, sensitivity, spread sensitivity, convexity, yield curve)
- Performance aggregation capabilities based on a segmentation of your choice, down to the portfolio level
- Total access to calculation information for the analysis of different effects
- Ability to use other modules and/or features of the Front-to-Back platform for Fixed Income Attribution calculations and analysis
In 2020, JUMP invested several hundred man-days to enhance its Fixed Income Attribution module, working in partnership with one of its key customers. Users are thus now able to take advantage of powerful calculation and analysis features for fixed income attribution within their JUMP platform.
JUMP Stress Test
The JUMP Stress Test is one of the sub-modules within the Risk module of the JUMP Front-to-Back platform. It allows users to:
- Apply different types of stress tests to portfolios:
- “What If” scenarios (financial market crisis, liquidity crisis, etc.)
- Stress on yield curves and different spreads
- Stress on pricing, based on index changes or in absolute terms
- Stress on exchange rates
- View the impact of stress tests on their portfolios at a projected date through the use of model portfolios for different stress test analysis modules
The JUMP Stress Test works in three steps:
- Step 1: Customize market scenarios (either those in the JUMP scenarios library or those you create yourself) by defining custom rules over a wide range of markets (stock, bond, fund, foreign exchange, etc.)
- Step 2: Simulate the market scenario(s) through the generation of a proxy view of the portfolio, which takes the assumptions from the stress and projection scenario(s) into account
- Step 3: Use the result(s) of the stress test(s) throughout different portfolio views (positions, portfolio composition, performance analysis, risk analysis, etc.)
Because the created stress test scenario can be applied in a proxy, it can be used throughout JUMP to view the health of the portfolio at a future date, potential performance evolution, changes in cash balances, and decreases in cash flows. Despite COVID, our teams remain fully operational and at the service of our customers, not only to support them in their day-to-day operations but also to discuss the major challenges facing the asset management industry. The JUMP team continues to enhance its software suite on an ongoing basis in order to help our customers focus on their core business: investment management.
We wish you all a happy New Year, and we look forward to seeing you for more JUMP Club U’ sessions.